DSX Options History — August 2008

In August 2008, DSX traded between $27.94 and $31.66. ATM implied volatility averaged 48.4%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 4.3% (HV 20d: 52.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2008-08-11: Highest Volume — 71,674 contracts
  • 2008-08-11: Largest IV spike — 17.8% change
  • 2008-08-04: Highest IV Rank — 30.6%
  • 2008-08-04: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.46$27.94$31.66$29.40$28.38
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV48.4%41.6%61.4%52.2%41.6%
Expected Move13.5%11.9%15.5%15.0%11.9%
HV 20d52.7%46.5%59.6%47.8%46.5%
HV 60d54.4%51.3%57.0%55.0%51.3%
IV Rank19.3%13.5%30.6%22.6%13.5%
IV Percentile18.5%2.4%52.8%27.4%2.4%
Term Structure1.4%-0.8%3.7%-0.7%1.8%
VWIV49.1%42.1%78.6%52.6%42.1%
Skew 25d5.7%1.6%9.8%1.6%1.7%
Skew 10d8.7%-6.7%14.9%-6.7%1.2%
Call IV 25d46.8%42.8%54.3%54.3%43.4%
Put IV 25d52.5%45.1%60.8%55.8%45.1%
Bid-Ask Spread %15.639.4322.2414.419.88
Gamma HHI0.220.190.260.210.20
Net GEX460.5K186.9K843.2K491.2K186.9K
Net DEX4.0M-19.4M18.3M18.0K18.3M
Net VEX-240.0K-281.5K-209.3K-252.4K-209.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.020.940.570.30
Total Volume5,989.23888971,6742,758924
Total OI72,229.1966,47075,80570,40274,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$29.40$30.0052.2%15.0%47.8%22.6%52.6%1.6%-0.7%491.2K18.0K-252.4K0.5714.41N/AN/A1,7541,00444,51125,891
2008-08-04$27.94$30.0061.4%15.5%50.5%30.6%54.3%7.0%0.0%272.6K11.0M-221.4K0.4016.91N/AN/A2,09983244,89426,233
2008-08-05$28.52$30.0055.1%15.2%47.5%25.1%53.6%7.3%0.6%373.7K6.4M-235.8K0.3917.09N/AN/A2,18384645,47126,552
2008-08-06$29.93$30.0051.2%14.5%50.5%21.8%50.9%7.2%0.4%617.8K-3.4M-249.0K0.3722.24N/AN/A1,99173246,16326,646
2008-08-07$28.63$30.0052.2%14.6%52.9%22.6%50.8%8.2%-0.8%376.5K7.8M-228.4K0.8612.80N/AN/A95382446,71926,800
2008-08-08$29.45$30.0047.3%14.0%53.9%18.4%55.4%8.1%2.0%508.0K2.8M-239.1K0.3417.10N/AN/A1,90364446,75527,362
2008-08-11$30.81$30.0055.7%13.6%56.3%25.6%78.6%7.4%1.4%785.6K-7.3M-241.5K0.0216.32N/AN/A70,5051,16946,58427,487
2008-08-12$30.37$30.0053.4%14.3%56.5%23.7%49.8%9.8%-0.8%649.7K-3.7M-254.6K0.6013.78N/AN/A2,2611,36343,79127,754
2008-08-13$31.45$30.0055.1%14.8%57.1%25.1%49.1%7.1%0.2%772.2K-17.8M-277.5K0.4616.50N/AN/A3,8901,80444,57228,153
2008-08-14$31.66$30.0050.9%14.6%56.7%21.5%47.8%7.3%-0.5%843.2K-19.4M-281.5K0.2516.97N/AN/A3,20379846,16228,607
2008-08-15$30.34$30.0047.3%13.6%58.4%18.4%47.6%6.4%1.9%751.9K-8.8M-259.6K0.9417.63N/AN/A1,7121,61647,07828,727
2008-08-18$29.41$30.0045.5%13.0%59.6%16.8%45.6%3.4%2.4%489.1K3.2M-241.2K0.619.43N/AN/A2,6081,60140,99825,472
2008-08-19$28.91$30.0046.0%13.2%59.5%17.3%47.0%6.0%1.7%329.6K9.7M-232.3K0.8211.25N/AN/A1,6151,32341,55326,585
2008-08-20$29.61$30.0044.1%12.6%57.7%15.6%42.8%7.1%3.3%401.8K5.8M-242.0K0.4718.29N/AN/A2,5861,21541,73227,128
2008-08-21$29.33$30.0044.0%12.6%50.9%15.5%43.6%3.7%3.0%366.4K8.9M-240.8K0.7615.99N/AN/A1,8481,40242,81027,785
2008-08-22$29.15$30.0042.3%12.1%50.9%14.1%44.1%5.7%3.7%335.4K12.0M-238.0K0.6418.87N/AN/A98162543,65128,591
2008-08-25$29.02$30.0043.2%12.4%50.5%14.9%43.7%2.1%3.0%343.8K12.9M-229.7K0.7212.51N/AN/A51737244,01628,938
2008-08-26$28.47$30.0043.7%12.5%47.7%15.3%44.5%3.4%1.3%198.0K17.1M-217.9K0.2421.44N/AN/A1,31732044,13428,931
2008-08-27$28.87$30.0042.1%12.1%47.7%13.9%43.3%4.7%3.5%290.3K13.6M-224.4K0.1517.84N/AN/A87713144,92728,754
2008-08-28$28.93$30.0042.1%12.1%47.5%13.9%44.2%4.6%1.9%287.0K13.8M-223.9K0.5711.00N/AN/A91051645,02528,756
2008-08-29$28.38$30.0041.6%11.9%46.5%13.5%42.1%1.7%1.8%186.9K18.3M-209.3K0.309.88N/AN/A71121345,09429,021